The pair also bought the New Jersey Devils hockey team in August, fueling rumors that they might move the 76ers to Newark in order to use the same Prudential Center arena. Scott O'Neil is also CEO of both teams.

Harris has previously denied the possibility of a move.

Blitzer was also asked what the "best crazy idea that came your way and you had no belief in it and it turned out to be successful."

"Buy a sports team," Blitzer said to laughs at the Columbia Business School Private Equity and Venture Capital Conference in Manhattan.

Both Blitzer and Harris were at the 76ers game March 1 to retire the number of former star Allen Iverson during a halftime ceremony. They presented him with a boat.

CNBC.com's Lawrence Delevingne talks about the many investors who have played with professional sports teams.

Separately, Blitzer said Europe was the macroeconomic risk that concerns him the most.

He said that nonperforming residential mortgages, which are typically in or close to default, is one area of continuing opportunity. Blackstone has been buying them for two years, he added.

Blitzer heads Blackstone's tactical opportunities unit, which launched in early 2012 and has been raising lots of cash. The division invests in illiquid or longer-term assets that fall outside the firm's other fund strategies. It brought in $3.4 billion in 2013, bringing total commitments to $5.1 billion, according to an annual report released Feb. 28.